Sam Zell, another billionaire who has donated to Republican candidates this election cycle and shared a stage with Pickens on Wednesday, also distanced himself from the Muslim ban idea.

"The idea of studying anybody based on religion is insane," Zell told the audience at SALT.

Zell also said "immigrants are self-selected risk takers" who have been encouraged over the last 200 years to join the American society.

However, Zell did bring up the recent San Bernardino shooting, calling it the result of the government's "failure of execution." The massacre, which killed 14 people, was carried out in part by a Muslim ISIS supporter, who was able to enter the U.S. legally.

"The Trump phenomenon is as much a revulsion about the inability of our government to execute anything," said Zell.